Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0084 |
| Annualized Std Dev | 0.1665 |
| Annualized Sharpe (Rf=0%) | -0.0503 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1390 |
| Quartile 1 | -0.0041 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0046 |
| Maximum | 0.2462 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0105 |
| Skewness | 0.8071 |
| Kurtosis | 78.9565 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0076 |
| Gain Deviation | 0.0082 |
| Loss Deviation | 0.0090 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0076 |
| Downside Deviation (0%) | 0.0076 |
| Maximum Drawdown | 0.5453 |
| Historical VaR (95%) | -0.0139 |
| Historical ES (95%) | -0.0242 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-06-13 | 2008-10-10 | NA | -0.5453 | 4474 | 1343 | NA |
| 1999-01-07 | 1999-12-14 | 2002-05-16 | -0.2716 | 843 | 237 | 606 |
| 2002-10-09 | 2002-10-21 | 2003-05-29 | -0.1229 | 160 | 9 | 151 |
| 2002-05-17 | 2002-05-22 | 2002-07-15 | -0.0415 | 40 | 4 | 36 |
| 2002-07-16 | 2002-07-24 | 2002-08-09 | -0.0394 | 19 | 7 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -2 | -0.7 | -1.3 | 0.6 | -0.7 | 0 | 0 | 0.8 | -0.8 | -2.2 | 1.6 | 0.8 | -3.8 |
| 2000 | -1.5 | 0 | 0.8 | -0.8 | 0.8 | -0.8 | -0.8 | 0 | 1.5 | -0.7 | 0 | 2.2 | 0.7 |
| 2001 | 0.7 | 1.3 | 0.2 | -1 | 0.1 | 0 | -0.2 | -0.1 | 0.7 | 0.8 | 0.4 | 7.5 | 10.8 |
| 2002 | 0.8 | 0.2 | 1.3 | 0.4 | -0.4 | -0.3 | 0.9 | 0.4 | 0.6 | -0.8 | 0.4 | 0.3 | 3.8 |
| 2003 | 0.4 | 0.1 | 0 | 0 | -1.8 | -0.1 | 0.9 | 0.2 | -0.3 | 0.6 | -0.2 | 0.5 | 0.4 |
| 2004 | -0.2 | -0.4 | -0.5 | 1.1 | -0.2 | 1 | 0.8 | 0 | 0 | 0.2 | 0.6 | 0.1 | 2.5 |
| 2005 | 0 | 0 | 0.5 | -0.7 | 1.2 | -0.6 | 0.4 | 0.4 | 0.5 | 0 | 0.4 | 0 | 2.1 |
| 2006 | 0 | 0.1 | 0 | 0.1 | 0.8 | -0.7 | 0.6 | 0.7 | 0 | 0.1 | 0.3 | 0.4 | 2.4 |
| 2007 | -0.9 | -0.5 | 0.3 | 0.2 | -0.2 | 1.3 | -1 | -0.1 | 0.5 | -0.1 | 1.4 | 0.4 | 1.1 |
| 2008 | 0.9 | -0.6 | -0.2 | 0.5 | 0 | 0.7 | -0.1 | 0.7 | 2.4 | -1.5 | -1.4 | 2 | 3.3 |
| 2009 | -0.2 | 1.2 | 0.6 | 0.1 | 1 | 0.7 | 0.1 | 0.8 | 0.1 | -0.8 | 0.3 | 0.2 | 4.4 |
| 2010 | 1.3 | 0 | 0.6 | -0.7 | 1 | 0.1 | 1.2 | -0.5 | 0.3 | 0.1 | -1.3 | 2.4 | 4.3 |
| 2011 | 1.1 | 0.7 | -0.4 | 0.6 | 0.4 | 1.5 | 1.6 | 0.1 | 0.5 | -1.2 | 1 | 0 | 6.1 |
| 2012 | 0.8 | 0.4 | 0.3 | 0.1 | -0.6 | 0.5 | -0.2 | 0.4 | -0.2 | -0.3 | -0.6 | -1 | -0.4 |
| 2013 | -0.2 | 0.8 | 0.1 | -0.2 | -2 | 0.2 | -0.6 | -0.7 | -0.1 | -1.5 | 0.1 | -0.8 | -4.7 |
| 2014 | 0.2 | -0.4 | -0.1 | 0.6 | 0.1 | 0.2 | 0.8 | 0.1 | -0.2 | -0.4 | -0.5 | -0.1 | 0.5 |
| 2015 | 1 | 1 | -0.4 | -0.6 | -0.4 | -0.4 | 0.5 | -0.6 | 0.7 | -0.1 | 1 | -0.1 | 1.6 |
| 2016 | 0.9 | 0 | 0.7 | 0.3 | 1 | -0.1 | -0.3 | 0.4 | 0.5 | 0.6 | -0.7 | 0.7 | 4.1 |
| 2017 | 0.3 | 0 | -0.6 | -0.2 | 0.3 | 0.6 | 0.2 | 0.4 | -0.4 | -0.5 | -0.1 | -0.3 | -0.2 |
| 2018 | -0.5 | -0.1 | 0.8 | 0.3 | 0.4 | 0.3 | 0.1 | 0.1 | -0.5 | 0.3 | 0.4 | 0.1 | 1.7 |
| 2019 | 0.7 | -0.1 | 0.4 | 0.9 | 0.2 | 0.2 | 0.8 | 0.1 | 0.7 | -0.7 | 1.8 | -0.1 | 5 |
| 2020 | 0.6 | -3.7 | -2.1 | 0.7 | 0.7 | 0.5 | 0.6 | 0.5 | 0.4 | -0.2 | 0.8 | 0.8 | -0.7 |
| 2021 | -0.6 | 1 | -1.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
